Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0365 |
| Annualized Std Dev | 0.2380 |
| Annualized Sharpe (Rf=0%) | -0.1533 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.2521 |
| Quartile 1 | -0.0047 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0050 |
| Maximum | 0.3106 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | 0.4059 |
| Kurtosis | 72.4380 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0108 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.8103 |
| Historical VaR (95%) | -0.0175 |
| Historical ES (95%) | -0.0352 |
| Modified VaR (95%) | -0.0010 |
| Modified ES (95%) | -0.0010 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-07-16 | 2009-03-09 | NA | -0.8103 | 5456 | 2426 | NA |
| 1999-01-07 | 1999-02-26 | 1999-04-28 | -0.0526 | 77 | 35 | 42 |
| 1999-05-05 | 1999-05-21 | 1999-06-18 | -0.0292 | 32 | 13 | 19 |
| 1999-06-21 | 1999-06-21 | 1999-07-12 | -0.0219 | 15 | 1 | 14 |
| 1999-01-05 | 1999-01-05 | 1999-01-06 | -0.0075 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0.8 | 0.8 | 0.7 | -0.7 | 0.7 | 0 | 0.8 | 0 | -0.8 | 0.9 | 0.9 | 4.1 |
| 2000 | 0.9 | 0.9 | 0 | 0.9 | 2.6 | 0 | 0.8 | 0.8 | 0.9 | 0 | 1 | -1 | 8.1 |
| 2001 | 0 | 1.8 | 0.6 | 1.2 | 0.4 | 0 | -0.3 | 0 | -0.5 | 0.6 | 0.2 | 0 | 4 |
| 2002 | 0.9 | -0.2 | -0.9 | 1.6 | 0.4 | 0 | -2.4 | 1.1 | 0 | 0 | 1.2 | 0 | 1.7 |
| 2003 | 1.8 | 0.7 | 0.2 | 0.5 | 0.6 | 1 | -4.7 | 1.2 | 1 | 0.4 | 0.3 | -0.1 | 2.8 |
| 2004 | -0.6 | -0.1 | 2.2 | 1.4 | 2.7 | 0.9 | 0.5 | 0.3 | 0.4 | 0 | 1.2 | -0.1 | 9.1 |
| 2005 | -0.6 | 0 | 0.5 | 0.3 | 0.9 | -0.3 | 0.3 | 0.6 | -0.6 | 0.5 | 0.6 | 1.1 | 3.4 |
| 2006 | 0.3 | 0.1 | 0.2 | 0.3 | 0.1 | 0 | 0.3 | 0.6 | -0.1 | -0.3 | -0.1 | 1 | 2.3 |
| 2007 | 0.5 | -0.4 | -0.4 | 0.4 | 0 | 0.4 | -1.3 | 1.6 | 0.6 | 1.2 | 2.6 | 2.2 | 7.5 |
| 2008 | 0.2 | -2.5 | 0.4 | -0.2 | -0.2 | 0.6 | 2.6 | 0.6 | 8 | 8.4 | -0.7 | 0.4 | 18.4 |
| 2009 | -1.3 | 0 | 3.6 | 4.5 | 2.1 | 0.7 | 1.2 | 0 | -1.6 | -4.6 | 1.4 | -0.8 | 4.9 |
| 2010 | 0.3 | 1 | 0.7 | -1.4 | 0.3 | 0.3 | -0.6 | 1 | 0.5 | 0.5 | 0.8 | 0.3 | 3.5 |
| 2011 | 1 | 0.2 | 0.8 | 1.4 | 0.9 | 1.9 | 1 | 1.8 | -2.1 | -0.3 | -1.8 | 0.8 | 5.7 |
| 2012 | 1.2 | -1.2 | -2.6 | 1 | 0 | -2.6 | 0.2 | 0.5 | 0.7 | 1.2 | -2.1 | 1.2 | -2.7 |
| 2013 | 0 | -0.9 | 0.2 | -1.1 | -1 | 0 | 0 | 1.3 | -0.2 | 0.2 | 0.8 | 0 | -0.8 |
| 2014 | 0 | -0.2 | -1 | -0.2 | 0.2 | -0.7 | -0.3 | 0.3 | -0.3 | -0.3 | -0.8 | 1.6 | -1.6 |
| 2015 | -0.3 | -0.3 | 0.3 | 0.3 | 0.3 | 0 | 0.3 | -0.6 | -0.6 | 0.3 | 0.3 | -0.3 | -0.3 |
| 2016 | -0.6 | 1.2 | -0.3 | 0 | -0.3 | 0.3 | -0.3 | -0.3 | 0.6 | -0.3 | 0 | 0.6 | 0.7 |
| 2017 | 0.8 | 0.6 | -0.1 | 0 | 0.5 | 0.2 | -0.2 | 0.6 | 0.6 | 0.4 | 0.7 | -0.3 | 3.9 |
| 2018 | 0 | -0.3 | -0.1 | 0.6 | 0.5 | -0.4 | 0.4 | 0.2 | 0.3 | 0.6 | -0.7 | -1 | 0 |
| 2019 | -0.2 | -0.2 | 0.3 | 0.4 | -2.3 | -0.6 | 0.5 | -0.5 | 0.1 | 0.2 | -0.2 | 1.2 | -1.4 |
| 2020 | -0.5 | -2.9 | -2.8 | -1.3 | 1 | 1.4 | 0 | 0.7 | -0.1 | -0.3 | 0.9 | 1.8 | -2.4 |
| 2021 | 0.9 | 0.9 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
